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Farrukh Javed . Foto

Farrukh Javed

Universitetslektor

Farrukh Javed . Foto

Effect of jumps on causation patterns: an international investigation

Författare

  • Farrukh Javed

Summary, in English

In this paper, we discuss the effects of jumps in data on causation pattern both in mean and variance. Our data consist of daily stock returns of four countries: the US, the UK, Japan and Sweden and used for empirical investigation. A test proposed by Cheung and Ng (1996) and Hong (2001) is used for testing volatility spillover. We find significant evidence of jump spillover. It is shown that the presence of jump affects the transmission of information between two sets of series. Moreover, it is found that the choice of an appropriate model is essential for understanding the real pattern of transmission.

Avdelning/ar

  • Statistiska institutionen

Publiceringsår

2012

Språk

Engelska

Publikation/Tidskrift/Serie

International Journal of Computational Economics and Econometrics

Dokumenttyp

Artikel i tidskrift

Förlag

Inderscience Publishers, Inderscience Publishers

Ämne

  • Probability Theory and Statistics

Nyckelord

  • Causality
  • GARCH
  • Jumps
  • Spillover
  • Volatility.

Aktiv

Inpress

ISBN/ISSN/Övrigt

  • ISSN: 1757-1189